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No-U-Turn Sampler (NUTS) — Hoffman & Gelman (2014) with multinomial sampling (Betancourt 2017).
This follows the same algorithm used by PyMC and Stan:
- Iterative tree doubling (extend trajectory forward or backward)
- Generalized U-turn criterion on subtrees
- Multinomial candidate selection weighted by exp(-H)
- Divergence detection via energy error threshold
- Max tree depth cap (default 10)
Structs§
Functions§
- run_
chain - Run a single NUTS chain with windowed diagonal mass matrix adaptation.